A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus.
Riu NaitoToshihiro YamadaPublished in: Monte Carlo Methods Appl. (2019)
Keyphrases
- forward backward
- hidden markov models
- higher order
- difference equations
- preprocessing
- discretization method
- discretization methods
- continuous variables
- closed form
- high order
- variational methods
- algebraic structure
- efficient computation
- data preprocessing
- continuous attributes
- approximation methods
- computationally tractable
- fourth order
- relational calculus
- numeric attributes
- relational algebra
- real time